I ran across it here:
[url=https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2745220]https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2745220[/url]
For 13 week returns in excel, I used:
=MAX(PORT1:PORT13)/ABS(MIN(PORT1:PORT13)) and compared to =MAX(BENCH1:BENCH13)/ABS(MIN(BENCH1:BENCH13))
For 52 week returns in excel, I used:
=PERCENTILE(PORT1:PORT52,0.97)/ABS(PERCENTILE(PORT1:PORT52,0.03)) and compared to =PERCENTILE(BENCH1:BENCH52,0.97)/ABS(PERCENTILE(BENCH1:BENCH52,0.03))
For 3Y returns in excel, I used:
=PERCENTILE(PORT1:PORT156,0.94)/ABS(PERCENTILE(PORT1:PORT156,0.06)) and compared to =PERCENTILE(BENCH1:BENCH156,0.94)/ABS(PERCENTILE(BENCH1:BENCH156,0.06))